How to Make Cozonac - Learn how to make this sweet traditional Romanian Christmas food. Cozonac is a sweet walnut bread enriched with butter, eggs and milk and flavored with lemon zest, orange zest, raisins or rum. The dough is rolled flat with a rolling pin, a rich filling is spread, and then the dough is rolled back into a shape that somewhat resembles a pinwheel. Once baked, the filling forms a swirl.